WO2016012217A1 - Systèmes et procédés informatiques permettant d'équilibrer des indices - Google Patents

Systèmes et procédés informatiques permettant d'équilibrer des indices Download PDF

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Publication number
WO2016012217A1
WO2016012217A1 PCT/EP2015/065197 EP2015065197W WO2016012217A1 WO 2016012217 A1 WO2016012217 A1 WO 2016012217A1 EP 2015065197 W EP2015065197 W EP 2015065197W WO 2016012217 A1 WO2016012217 A1 WO 2016012217A1
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index
security
securities
group
weight
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PCT/EP2015/065197
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English (en)
Inventor
David Gedeon
Darrin DECOSTA
Matthew J PATTERSON
Brooks D JOHNSON
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Nasdaq, Inc.
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Priority to CA2955748A priority Critical patent/CA2955748A1/fr
Publication of WO2016012217A1 publication Critical patent/WO2016012217A1/fr

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

  • the technology herein relates to computing systems that balance or rebalance indexes and the components that makeup the index.
  • An example computerized financial system is an electronic exchange platform (e.g., the NASDAQ® Stock
  • One technique in which the performance of a market (e.g., a given collection of securities) may be tracked is by electronically computing an index based on that market. This type of computerized index provides a
  • the NASDAQ- 100 Index is an example index that includes 100 of the largest domestic and international non-financial securities listed on the NASDAQ® Stock Exchange. This index reflects how a collection of particular industries (e.g., computer hardware and software, telecommunications, retail/wholesale trade, and biotechnology) are performing. Other types of indexes may include bond indexes that measure a section of the bond market (e.g., corporate, municipal, and/or government backed bonds) or specific sector indexes that track, for example, companies in the information
  • index-fund that tracks the index.
  • These funds include managed mutual funds, unit investment trusts, exchange-traded funds (ETFs), and other types of funds that "own" assets of a given collection of securities (e.g., stocks, bonds, etc).
  • ETFs exchange-traded funds
  • the makeup of a particular fund e.g., what assets are owned by a fund
  • can then be based on an index and achieve returns that are inline with an underlying index such as the NASDAQ-100 Index.
  • indexes One problem faced by indexes is the need to rebalance in order to address changes in the market such as the addition or deletion of components from an index, adjustment of index component weightings, etc.
  • this rebalancing involves a two-step process that is typically
  • the process includes: (1 ) identification of eligible index components based on a given criteria - e.g., a market capitalization threshold, investment rating, economic sector, etc; and (2) calculation of how eligible index components are weighted within the index according to some technical criteria (for example pro-rate share based on market valuation or some other metric).
  • a given criteria e.g., a market capitalization threshold, investment rating, economic sector, etc.
  • Rebalancing an index in this manner generates or regenerates a portfolio of index components that reflects the technical rules that govern the makeup of the index (e.g., which securities are eligible and how they are to be weighted). However, this technical precision may result in increased levels of turnover within the index.
  • investors do not directly "buy" a particular index. Rather, they buy a fund created to track the index.
  • the fund tracking the index is typically similarly adjusted by a fund manager.
  • each incumbent security may have its own weight reduced pro-rata in the index (e.g., an index addition security weight reduction).
  • each remaining incumbent security can have its own weight increased pro-rata in the index (e.g., an index deletion security weight increase).
  • a fund tracking such an adjusted index would need to adjust its holdings of a particular security or a group of securities in order to match the weightings used by the index.
  • An index rebalancing computer system for a group of securities represented by an index includes a transceiver, a memory device, and a processing system that includes at least one processing circuit coupled to the memory and the transceiver.
  • the transceiver is configured to send and receive electronic communication signals from or to one or more remote computers.
  • the memory device is configured to store a listing of a group of securities used to generate the index and an indication of an amount of cash generated by at least a first security from among the group of securities over a certain time period.
  • the processing system in response to an index
  • rebalance request signal is configured to rebalance the index towards a target index by at least adjusting a weight of a second security associated with in the group of securities as a function of the stored indication of the amount of cash generated by at least the first security over the certain time period.
  • the processing system calculates an index value for the index based on the group of securities that includes the second security with the adjusted weight and transmits transmit index component data, via the transceiver, to the one or more remote computers in accordance with the rebalanced index.
  • a computer indexing system stores and tracks a portfolio of securities and cash flows generated by those securities during a given time period (e.g., a month).
  • values that represent the generated cash flows are received from an external or remote data provider on a time-based (e.g., monthly) or event-based trigger (e.g., a manual request for the data).
  • the generated cash flows tracked by the system are used to adjust the weightings of securities within an index maintained by the computer indexing system. In other words, the amount that a security may be adjusted in weight may be dependent or in proportional to the cash flow generated by the component securities within the index.
  • a rebalancing process uses index cash flows generated by index components since the last index rebalancing to facilitate the rebalance process.
  • the index rebalancing process may produce a target portfolio that guides the application of index cash balances to create a turnover optimized index (e.g., an index that decreases the turnover of index components versus prior techniques).
  • the index process may include: (1 ) identifying of eligible index components through the
  • index turnover is decreased by eliminating needless index turnover through elimination of index adjustments which result from index addition security weight reductions or index deletion security weight increases.
  • the rebalancing process is able to achieve decreased turnover while delivering index risk and return characteristics that track (and may be substantially identical to) traditionally rebalanced indexes.
  • the turnover associated with managing the fund's performance may be decreased due to the way in which the index provider has rebalanced the index. This results in increased returns for investors.
  • each index seeks to divest cash equivalents that have been generated by index constituents and incorporate any new bonds that qualify for inclusion in such index to create a pro forma index.
  • a rebalancing process may include a sale constraint on the portfolio that effectively bars the selling of securities (e.g., subtracting the value of securities from the index) from the portfolio as long as the securities remain valid securities.
  • Figure 1 illustrates a non-limiting example function block diagram of a computer-implemented index system coupled via a network to data source computer systems and subscriber or client computing systems;
  • Figure 2A is a flow chart of an example computerized rebalancing process according to certain example embodiments.
  • Figure 2B is a flow chart showing a computerized process for maintaining, publishing, and updating an index
  • Figure 3 is a chart showing allocations of a laddered index according to certain example embodiments.
  • Figure 4 is a chart comparing an index rebalanced with a
  • Figure 5 is a chart that illustrates forward looking characteristics of a traditionally rebalanced index and an index rebalanced according to certain example embodiments
  • Figure 6 is a chart showing the average credit rating of a
  • Figure 7 shows how a component in an index is adjusted when the index is rebalanced using traditional techniques and how an index is rebalanced according to certain example embodiments.
  • Figure 8 is a block diagram of an example computer system that is programmed according to certain example embodiments.
  • the software program instructions and data may be stored on non-transitory computer-readable storage medium and when the
  • Figure 1 shows a non-limiting example function block diagram of a computer-implemented index system coupled via a network to data source computer systems and subscriber or client computing systems.
  • Trading exchange computer system 102 includes a CPU, a memory, and a data transmission device. In certain example embodiments, these systems may include multiple processors and/or memories and may be designed for fail-safe redundancy (e.g., with multiple computing devices operating to provide functionality).
  • the data transmission device can be, for example, a network interface device that connects trading exchange computer system 102 to network 108.
  • Trading exchange computer system 102 may be directly connected to client systems 106A and 1 10A via dedicated physical connections (e.g., fiber optics) or virtual dedicated connections (e.g., a virtual private network).
  • client systems can create electronic data messages relating to the placement of electronic orders for purchasing or selling securities.
  • client systems passively receive electronic messages transmitted by trading exchange computer system 102 related to events or changes in securities managed by trading exchange computer system 102.
  • client devices may receive information from other sources (not shown) that indicate, for example, a new bond has been issued.
  • Client systems e.g., client system 106B
  • Index computer system 104 is a computer system configured (e.g., through appropriately designed and executing computer program structure) to manage an index of a group of securities that makeup the index.
  • Index computer system 104 includes a processing system (e.g., at least one microprocessor), a memory device (e.g., RAM, cache memory, non-volatile storage, etc), transceiver circuitry for communicating with other computing resources.
  • Index computer system 104 is coupled via a communication link to various data providers that provide information to index computer system 104 on components of the index (e.g., the securities).
  • Data providers for the index computer system 104 can include trading exchange computer system 102 and client computing systems 106B and 106C.
  • index computer system 104 and trading exchange computer system 102 are located within the same data center and communicate via high speed communication links.
  • Index computer system 104 may receive a real-time data feed from trading exchange computer system 102 and use such information to calculate the value of an index based on how the underlying securities in that index have performed.
  • data providers are third party services that track and maintain various pieces of information on how securities perform.
  • data providers may specialize or provide such information based on asset class, sector, or category.
  • index computer system 104 may communicate with one or more (e.g., multiple) data providers when calculating the value of an index and how the index should be balanced.
  • an index may be a combined index that includes bonds, stocks, currency hedges, and the like.
  • Index computer system 104 acquires information on the various components of the index from different data providers - e.g., currency information from client computer system 106C, bond information from client computer system 106B, and stock information from trading exchange computer system 102.
  • Index computer system 104 may store information on securities of a managed index in local storage (e.g., a listing of those securities that makeup the index) and then calculate a resulting index value from those securities (e.g., the value for the NASDAQ-100 Index). This index value may be based on the combined value (or some other metric associated with the securities) of the securities that make up the index (e.g., a weighted average). The value may be transmitted to client systems - for example, client
  • computing system 1 10B or otherwise distributed to external computing devices (e.g., a mobile device of an investor who is interested in the market
  • computer index system 104 transmits index level, performance, constituent or analytic data related to the makeup of a particular index (or group of indexes) to client devices.
  • client computing system 1 10B may receive only the value of the index
  • client computing system 1 10C may receive data on how the components in the index have been weighted, other component information, corporate actions related to the components (e.g., news items), intraday net asset values, settlement values, currency spot values for select instruments, start-of-day and end-of-day summary data by asset class.
  • This information may be provided daily (for example at the end of a trading day), weekly, monthly, bi- yearly, on demand (e.g., at the request of a user or a client computing system), or other programmed frequency (which may be time or event based).
  • This information can facilitate capital performance transparency for investors, asset managers, and global financial institutions. It also may help funds that track indexes to better match the performance indicated by the calculated index value.
  • index The securities that makeup an index can be based on any type of security or financial instrument.
  • index may include
  • Certain example rebalancing techniques may track traditional rebalancing techniques in terms of valuation for the index over time.
  • An example constituent bond may be, for example, within about 5 basis points (0.05%)of the weight of the bond in a "perfect" index or an index that uses a traditional method.
  • index valuation may not be materially different between different rebalanced indexes, the turnover experienced by those indexes may be materially different.
  • the value of the index may track a traditionally balanced index while the amount of turnover materially diverges (perhaps significantly so) - with the technique described herein having less turnover.
  • Such characteristics e.g., decreased turnover
  • buying for an index refers to adding a specific amount of a security to the index rather than strictly buying the security.
  • a sell refers to "subtracting" a specific amount of a security from an index rather than selling that security.
  • an index provider does not engage (typically) in financial transactions when calculating an index valuation (or the rebalancing process). Instead, buy and sell actions are carried out by investors, such as funds tracking the index.
  • Figure 2A is a flow chart of an example computerized rebalancing process according to certain example embodiments.
  • Step 200 is an initialization step used to create an index where the initial value of the index (e.g., the sum of the initial positions taken in the portfolio components) is defined.
  • an initial value may be 1 billion dollars U.S. This value may be set as (INV T0 T f) - the total value of the index at time t.
  • the initial securities included in the index may also be defined.
  • Selecting or defining the initial group of securities to be included in the index can be accomplished by applying a criteria (e.g., all stocks with a market capitalization of greater than 10 billion, the 50 largest market
  • the process determines security investments and weights of the securities within the group and sets the optimized distribution of the securities within the group to the target distribution of the securities.
  • the optimized index is the index rebalanced according in the rebalancing techniques herein and the target index or distribution is the target makeup for an index.
  • a laddered bond index may be partitioned into 5 different maturity buckets that include bonds maturing at different times in the different buckets - e.g., 20% may be devoted to 5 year bonds, another 20% to 10-year bonds, etc.
  • the target distribution in this scenario is exactly 20% in each of the particular categories, leading to significant rebalancing to maintain 20% exposure.
  • the optimized distribution may float by a couple percentage points (up or down) for the respective buckets (e.g., depending on how well the assets in a particular class are doing compared to others). This "floating" aspect is a result of how certain example techniques are applied to an index over the life of the index.
  • the amount or value of a particular security included in the index may be defined as (INV s t ) and the weight of the security within the index may be defined as (INV S w t)-
  • Bonds pay fixed amounts of taxable interest.
  • the following bond types may be included: 1 ) fixed coupon bonds; 2) callable bonds; 3) step-ups, event-driven, rating-driven and registration-driven bonds; and 4) amortizing bonds and sinking funds with fixed sinking schedules.
  • Selection criteria bonds must have: 1 ) a minimum credit rating of BBB- from Fitch Investor Services (“Fitch”) or Standard and Poor's Rating Group (“S&P) or Baa3 by Moody's Investors Service, Inc. ("Moody's); and 2) an outstanding face value of at least $500 million.
  • step 202 some amount of time is allowed to pass before the rebalancing process for the index is triggered.
  • the time between rebalancing processes is determined by application need and may be daily, weekly, monthly, yearly, etc. or event based (e.g., the manager of the index manually triggers the rebalancing process, or some event was detected that triggered the rebalancing process).
  • the optimized index is re-priced using current prices as of the rebalance date. Specifically, the value of each security within the index is recalculated (INV s t +i ) and the total value of the index is also recalculated (INV T0 T t+i )- For example, if a stock in the index has increased in value since the last rebalancing from 100 to 1 10, the value of the stock is similarly increased.
  • step 206 the process calculates unallocated "cash" (INV C A S H t +i ) in the optimized index due to corporate actions, distributions, index removals or the like.
  • bonds typically yield some recurring cash (e.g., a coupon payment).
  • a bond matures and the money initially spent buying the bond (or a portion thereof) is returned.
  • a stock may have dividends.
  • index provider e.g., the entity running computer index system 104
  • stored in memory on that system (along with other data related to the makeup of the index).
  • cash may be generated by index components for bonds: 1 ) coupon payments; 2) called bonds; 3) matured bonds; 4) index deletions.
  • securities that are fully or partially redeemed during the month for example, called bonds or amortizing bonds with fixed schedules
  • unallocated cash positions (or values that represent the generated cash which are stored in the index computer system) for each security may be summed to obtain the total unallocated cash value.
  • the computer index system may update the total value at the same time new information is received for respective securities - e.g., as a running total.
  • data providers transmit messages to the index computing system with information on how much cash a given security has generated over a given time period. This information may be saved to the computing system (e.g., a database or the like) as the information is received and then referenced in step 206.
  • the process may end and return to step 202. In certain examples, the process continues through other steps shown in Fig. 2A. In other words, even when there is no unallocated cash, the process may still determine a difference between optimized and target indexes and take action based on that determination (e.g., to fully rebalance or employ some other rebalancing technique that does not rely upon generated cash values).
  • step 210 the group of securities that makeup the index is redetermined and the weights (INV S w t+i) of those securities in the index are recalculated. For example, returning to the bond index example, in the time between the initial creation of the index and step 210, 2 additional bonds may have become eligible for the index (e.g., because they were just issued).
  • the index must now include those bonds in its calculation.
  • step 212 the weight calculation is used to determine the new target holding for each security in the index.
  • the target value for a particular security in the index is the product of the total value of the index and the weight of that security within the index (e.g., a percentage).
  • step 214 for each security, the calculated target value (from step 212) is compared to the calculated value of the security from step 204. This may be expressed as W s t +i - INV s t +i - INV s t +i target-
  • step 216 the process determines if there are any
  • underweighted securities in the index In other words, are there any securities for which INV S t +i is less than INV S t +i target- If there are no underweighted securities, then the process proceeds to step 218, no changes are performed on the index, and the process resets to step 202.
  • the process may determine if the underweighted securities are within a certain margin of the target value. If they are within that margin, then the process may exit and take no function action. For example, if the target value of a security is 3 and the calculated value of the security is 2.99, then the process may determine that no further changes are needed and simply exit at step 218.
  • step 220 if there are underweighted securities, then the underweighted total of those securities is calculated. This may be expressed as: UW-roT t+1 - SumlF (INV s t+ i - INV s t+ i target, " ⁇ 0"). In other words, sum the differences between the total value of each security and its target value if that difference is less than 0. This can then capture the total underweighted value for the securities that are underweighted with respect to their target value. As can be seen from this process, securities that are overweighted by the index are not adjusted in value.
  • INV S (add) t+i (UW s t +i / UW TO T t+i ) * INV C ASH t+i .
  • unallocated cash value may be used. For example, factors such as credit rating or type of security may be used to determine how the unallocated funds are to be allocated. In certain examples, securities may be adjusted to hit their target amount based on such factors. Securities may be "ranked" and the highest ranked security may be brought up to its target value within the index before other lower ranked securities are adjusted in value. In certain examples, the distribution could be randomized. In certain examples, one or more of the above process may be combined to form hybrid-like distribution model.
  • step 224 the new value of securities after their adjustment in step 222 are calculated to obtain the interim values and weights of the index constituents.
  • the weights of the securities within the index may also be calculated.
  • the interim value of the securities is expressed as: INV S t+i end - INVs t+i + INV S (add) t+i -
  • the interim weighting of the securities may be
  • step 226 the index is re-compared to the target index (from step 212).
  • the comparison can be sector based, maturity based (e.g., etc maturity bucket), security based (e.g., the weightings of each security are compared), or based across the whole index.
  • step 2208 determines if the optimized index is within a tolerance threshold of the target index - e.g., to ensure the index is going to deliver the risk/reward
  • the process may determine if each year of maturity is within its tolerance level (a level that may be the same or different for the respective maturity levels). In other examples, the
  • determination may be on a security by security basis, on the basis of security sector, etc.
  • the process may fully rebalance the index (e.g., using the traditional technique or some other optimization technique) to acceptable weights and the rebalanced index becomes the live index that is published in step 232.
  • Another rebalancing technique that may be employed in certain instances is described in U.S. Patent No. 6,061 ,663, the entire contents of which are hereby incorporated by reference.
  • the index is with a tolerance threshold, then it may be set to be the "live" index and published in step 232.
  • all of the above steps from Fig. 2A are computerized processes (or parts thereof) that are executed by an index provider computer system.
  • one or more of the steps may be offloaded to a third party (e.g., an external computing system) or the like.
  • Figure 2B is a flow chart showing a computerized process for maintaining, publishing, and/or updating an index according to certain example embodiments.
  • step 250 component data for an index is acquired or received.
  • information may be obtained or received from a variety of different sources (data providers, exchanges, etc).
  • step 252 based on the acquired data, the value of index components may be calculated. This may be similar to step 204 in Fig. 2A.
  • the calculated index value is published.
  • a bond index may be updated during the trading day (or the end of the trading day) as the underlying bonds in the index move in value.
  • the updated value may give clients a way to quickly grasp whether the bond market is moving up or down (e.g., as the index value represents a broad understanding of its underlying components).
  • step 256 the process determines if it is the end of the month. Or more specifically the computerized process determines if it is the end of a month and the end of the trading day. If this condition is not satisfied, then the process loops back to step 250.
  • an example rebalanced process may be implemented for the index in step 258.
  • the process described in Fig. 2A may be one such process that may run monthly to rebalance an index.
  • rebalancing an index may be triggered at periods other than on a monthly basis (e.g., weekly or daily).
  • step 260 once the subject index has been rebalanced, then the updated component information is published via a data feed to selected subscribers (e.g., client device 1 10C).
  • selected subscribers e.g., client device 1 10C.
  • each index equals the aggregate value of its index par value multiplied by each component security's evaluated midpoint price plus accrued interest divided by the index divisor.
  • the index divisor serves the purpose of scaling the aggregate value to a lower order of magnitude for reporting purposes.
  • the formula for index valuation is as follows: Aggregate Index Market Value / Divisor. In certain examples, this information is calculated once per trading day and then published (e.g., after the close of the U.S. bond market).
  • index B sometimes referred to as the "TOP" index.
  • the laddered bond indexes were split into 5 different “buckets” that included 0-1 year maturity bonds, 1 -2 year maturity bonds, 2-3 year maturity bonds, 3-4 year maturity bonds, and 4-5 year maturity bonds.
  • Each bucket of the index was targeted to be 20% of the overall index valuation.
  • Index A will perfectly (or nearly so) maintain the targeted 20% over the lifetime of the index.
  • Tables 1 and 2 show example results for index A and index B.
  • Table 2 shows the anticipated index turnover of the respective rebalancing techniques.
  • index A added to securities (bought) 1 1.5% of its valuation on a monthly basis while reducing from securities (selling) 9.1 % of its total valuation.
  • sell percentage shown in table 2 is with respect to sells that are, primarily, related to reducing the weight of constitutes within the security (e.g., to make room for a new security). These types of sells generally do not add "value" to an index (or a fund tracking the index).
  • the reduction (sell) data shown above does not include sales of securities being removed from the index (e.g., the security no longer qualifies) or the like.
  • the average "gross” trade is the sum of the absolute adds and deletes in a particular month, and may represent a trading that could occur in a portfolio tracking the index.
  • the average "net” trade is the difference between the buy and sell averages and, theoretically, is the amount that is "spent” in order to balance the index.
  • index B the average buy is 2.4%. This is expected because, as shown in Fig. 2A, the process is constrained by the amount of unallocated "cash" (which is represented as a value by the index provider). Accordingly, the 2.4% for index B is significantly less than the 1 1.5% of index A. Also, there are no reductions (sells) triggered for index B as the example
  • the turnover generated by index A can result in a fund tracking the index trading 20.6% of its portfolio on a monthly basis in order to maintain perfect weights vis a vis the index.
  • bid offer spread the fee paid to bond dealers in compensation for maintaining an inventory/market
  • investment grade bonds can be as high as 1 %.
  • funds seeking to exactly deliver the performance of an index with 20.6% turnover monthly would expect to experience a relative underperformance of 0.206% per month (20.6% x 1 % bid-offer spread) due to the costs of their trading securities.
  • trading small amounts of some securities can increase the bid/offer spread required by trading partners to entice them to purchase small numbers of securities.
  • Figure 3 shows allocation data for each maturity bucket in the laddered index over the course of a 3 year period for index B.
  • each of the maturity buckets in the index becomes slightly mis-weighted with some buckets being overweighted and some being underweighted.
  • these mis-weights within the index are non-material. In other words, the risk associated with the index is not changed in material manner based on these slight mis-weights.
  • Figure 4 is a chart comparing the performance of index A to index B.
  • the valuation of index A and index B are indistinguishable from each other as the two lines on the chart are blended together.
  • Figure 5 is a chart that illustrates forward looking characteristics of index A and index B and shows both yield-to-maturity (YTM) and the option- adjusted-spread (OAS) or spread (e.g., to U.S. treasuries) for the two indexes.
  • YTM yield-to-maturity
  • OFAS option- adjusted-spread
  • Spread e.g., to U.S. treasuries
  • Figure 6 is a chart showing the average credit rating of index A and index B where the credit rating of all of the bonds in the index is averaged by weight. While the credit rating of both indexes drops over the three-year period, their respective credit ratings are similar. This indicates that the reason for the drop is due to the index makeup (e.g., some bonds dropping in credit rating) rather than the implemented rebalancing process.
  • Figures 3-6 thus illustrate how the risk characteristics of the two indexes track each other over the indicated period.
  • Figure 7 shows how par value of an individual component bond in indexes A and B fared over the three-year period.
  • the smaller bar graph shows trading (adds and subtractions for the index) that took place for this bond during the indicated three-year period.
  • FIG. 7 shows that the par amount of the bond represented in the index remains relatively stable over the 3-year period.
  • Fund managers seeking to track index B would incur trading costs for their bond purchases motivated by good index activity, but would not be required to trade (and thus incur costs) the portfolio for bad index activity to the extent required by tracking index A. This reduction in trading activity can have a material impact on the fund's ability to track the index as well as the total performance.
  • Figure 8 is a block diagram of an example computer system, or computing node, that is programmed according to certain example
  • the computer system may be index computer system 104, trading exchange computer system 102, client computing systems, etc.
  • Computing system 800 includes a central processing unit or CPU 802, a system bus 804 that communicates with RAM 806, and storage 808.
  • the storage 808 can be magnetic, flash based (e.g., for a mobile client device), solid state, or other storage technology.
  • the system bus 804 communicates with user input adapter 810 (e.g., PS/2, USB interface, or the like) that allows users in input commands to computing node 800 via a user input device 812 (e.g., a keyboard, mouse, touch panel, or the like).
  • user input adapter 810 e.g., PS/2, USB interface, or the like
  • processing may be displayed to a user on a display 816 (e.g., an LCD) via display interface 414 (e.g., a video card or the like).
  • a display 816 e.g., an LCD
  • display interface 414 e.g., a video card or the like.
  • Computing system 800 may also include a network interface 818 (e.g., a transceiver) to facilitate wired (e.g., Ethernet - 802.3x) and/or wireless communication (WiFi / 802.1 1x protocols, cellular technology, and the like) with external systems 822 and/or databases 820.
  • External systems 822 may include other processing systems, systems that provide third party services, client devices, server systems, or other computing nodes similar to that of computing node 800 (e.g., to form a distributed computing system).
  • External systems 822 may also include network attached storage (NAS) to hold large amounts of data.
  • External systems along with the internal storage and memory, may form a storage system for storing and maintaining information (e.g., graphical models, event log data, etc).
  • information e.g., graphical models, event log data, etc.
  • the database 820 may include relational, object orientated, or other types of databases for storing information (e.g., the makeup of an index, a tracked about of cash that has been generated by index components, etc).
  • a CPU may include multiple cores (e.g., (corel , core2, core3, and core4) that are all coupled to on-die memory (e.g., L2 or L3 cache memory).
  • on-die memory e.g., L2 or L3 cache memory
  • L2 or L3 cache memory e.g., L2 or L3 cache memory
  • cores e.g., (corel , core2, core3, and core4) that are all coupled to on-die memory (e.g., L2 or L3 cache memory).
  • L2 or L3 cache memory e.g., L2 or L3 cache memory
  • a description of a process is a description of an apparatus for performing the process.
  • the apparatus that performs the process may include, e.g., a processor and those input devices and output devices that are appropriate to perform the process.
  • data may be (i) delivered from RAM to a processor; (ii) or
  • instructions for a process may be stored in an instruction register and loaded by a processor. Instructions and/or data may be carried over other types of transmission medium (e.g., wire, wireless, optical, etc.) and/or transmitted according to numerous formats, standards or protocols, such as Ethernet (or IEEE 802.3), SAP, ATP, Bluetooth, and TCP/IP, TDMA, CDMA, 3G, etc.; Such transitory signals may be coupled to non-transitory media (e.g., RAM, a receiver, etc), thus transitory signals will be coupled to non-transitory media.
  • the transitory and non-transitory signals, instructions, and/or data may be encrypted to ensure privacy or prevent fraud in any of a variety of ways well known in the art.

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Abstract

L'invention concerne un système informatique permettant de rééquilibrer automatiquement un indice et les poids de composants d'un ou de plusieurs titres dans l'indice. Le système suit et enregistre une valeur qui représente un montant de liquidités généré par des titres dans l'indice pendant une période prédéterminée. L'indice est rééquilibré en ajustant au moins un poids ou une valeur d'un second titre inclus dans le groupe de titres d'après la valeur indiquant le montant de liquidités généré par des titres dans l'indice. Une valeur d'indice mise à jour est calculée pour l'indice d'après le groupe de titres qui comprend le second titre avec le poids ajusté. Les données des composants de l'indice sont transmises à des entités d'abonnement.
PCT/EP2015/065197 2014-07-21 2015-07-03 Systèmes et procédés informatiques permettant d'équilibrer des indices WO2016012217A1 (fr)

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US14/336,339 US20160019646A1 (en) 2014-07-21 2014-07-21 Computer systems and methods for balancing indexes

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GB2542617B (en) * 2015-09-28 2020-06-24 Touchtech Payments Ltd Transaction authentication platform
US10521661B2 (en) * 2017-09-01 2019-12-31 Magic Leap, Inc. Detailed eye shape model for robust biometric applications
US20200202442A1 (en) * 2018-12-19 2020-06-25 John Paul Kepros Systems and methods for intrinsic value driven dynamic asset reallocation
SE1950664A1 (en) 2019-06-05 2020-12-06 C8 Tech Holding Jersey Limited Trading proposal arrangement, system and method

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US20070005476A1 (en) * 2005-07-01 2007-01-04 Winson Ho Index rebalancing
WO2009070811A1 (fr) * 2007-11-30 2009-06-04 Credit Suisse Securities (Usa) Llc Système informatique et procédé de génération et de maintien d'un repère financier

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US7689493B1 (en) * 2005-11-15 2010-03-30 Merrill Lynch Co., Inc. Methods for asset index tracking
US20130212040A1 (en) * 2006-02-23 2013-08-15 Vincent T. Lowry Method of restructuring index securities funds by revenue weighting
US20140279702A1 (en) * 2013-03-15 2014-09-18 Nicole Douillet Social impact investment index apparatuses, methods, and systems

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Publication number Priority date Publication date Assignee Title
US20070005476A1 (en) * 2005-07-01 2007-01-04 Winson Ho Index rebalancing
WO2009070811A1 (fr) * 2007-11-30 2009-06-04 Credit Suisse Securities (Usa) Llc Système informatique et procédé de génération et de maintien d'un repère financier

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